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Estimation the value at risk using an adaptive model
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Z. Hosseinpour   , H. Panahi |
| Department of Mathematics and Statistics, Lahijan branch, Islamic Azad University, Lahijan, Iran. |
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Abstract: (3900 Views) |
| The modeling of the volatility is one of the most problems in financial research areas such as pricing derivatives, risk estimation and financial decision-making. In recent years, many attempts have been made to identify the optimal model for better estimation and forecasting of volatility and risk in investment and policies economic. This study aimed to identify and investigate a suitable model for estimating the value at risk in the stock exchange data. Based on the four stock indices, the value at risk is estimated using an adaptive model. Using different criteria, it is observed that the adaptive model has a good performance. |
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| Keywords: Adaptive Model, Risk Management, Conditional Autoregressive Value at Risk, Performance Indices, Stock Exchange |
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Full-Text [PDF 476 kb]
(1562 Downloads)
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Type of Study: Research |
Subject:
General
Received: 2017/02/1 | Accepted: 2017/05/29 | Published: 2017/07/15
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